The new magnesium matrix composites reinforced with different weight fractions (0, 4, 8, 12) of TiO$_2$ particles are fabricated by powder metallurgy. The ball milled powders are compacted and sintered for further mechanical and characterization studies. With the increasing weight percentage of TiO$_2$ particles, the particles gradually show more homogeneous distribution in the matrix. Compared with the matrix, the compressive strength of the composites is improved. With the increasing TiO$_2$ contents from 0 to 12% wt., the ultimate compressive strength increases from 82 to 158 MPa, respectively, while the corresponding strain decreases. The improvement of the ultimate compressive strength and hardness of the Mg–TiO$_2$ composites is due to the homogeneous microstructure of TiO$_2$ in Mg matrix. Energy dispersive X-ray spectroscopy and scanning electron microscopy are used to study the morphology and distribution of reinforcements in the matrix material. An identical distribution of TiO$_2$ particles is obtained throughout the matrix in the Mg–TiO$_2$ composites.